On anomalous distributions in intra-day financial time series and Non-extensive Statistical Mechanics
| dc.creator | Queiros, Silvio M. Duarte | |
| dc.date | 2004-03-24 | |
| dc.date.accessioned | 2026-07-07T12:06:55Z | |
| dc.date.available | 2026-07-07T12:06:55Z | |
| dc.description | In this paper one studies the distribution of log-returns (tick-by-tick) in the Lisbon stock market and shows that it is well adjusted by the solution of the equation, {$\frac{dp_{x}}{d| x|}=-β_{q^{\prime }}p_{x}^{q^{\prime}}-(β_{q}-β_{q^{\prime}}) p_{x}^{q}$}, which corresponds to a generalization of the differential equation which has as solution the power-laws that optimise the entropic form $S_{q}=-k \frac{1-\int p_{x}^{q} dx}{1-q}$, base of present non-extensive statistical mechanics. | |
| dc.description | To appear in Physica A - "Proceedings of Applications of Physics to Financial Analysis 4", 5 pages, 1 figures | |
| dc.identifier | https://arxiv.org/abs/cond-mat/0403624 | |
| dc.identifier | http://arxiv.org/abs/cond-mat/0403624 | |
| dc.identifier | Physica A 344, 279 - 283 (2004) | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208799 | |
| dc.subject | Statistical Mechanics | |
| dc.subject | Statistical Finance | |
| dc.title | On anomalous distributions in intra-day financial time series and Non-extensive Statistical Mechanics | |
| dc.type | text |